These are the choices I get for creating new media - note that there is no option for "URL Source" as indicated in your instructions.

Add New Media

Webcamoid GUI - This is a new instance I created for my GoPro. The Edit and Remove options are "greyed" I can't click on them to do either.
However, the rest of the instructions seem to be working because my Zoom interface allows me to switch to the GoPro - no image - this seems to be my stumbling block.

Webcamoid GUI